Estrategias Optimas De Cobertura En Presencia De Incertidumbre En Costos Y Cantidad
AbstractThis paper discusses how to achieve the optimal hedging of a cash flow when facing price risk of the product the company sells, when we are also in the presence of cost and quantity uncertainty. We present an analytical solution to the optimal hedging strategy in the general case and in some particular situations. We also obtain an expression to measure the efficiency of this hedging strategy. We identify the key parameters affecting the optimal hedging strategy, which are the volatilities of the random variables considered and the correlation coefficients among them. Finally we figure out how those parameters affect the optimal hedging strategy when the random variables present log normal distributions.
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Bibliographic InfoArticle provided by Escuela de Administracion. Pontificia Universidad Católica de Chile. in its journal ABANTE.
Volume (Year): 8 (2005)
Issue (Month): 2 ()
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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